Overall Statistics |
Total Trades 903 Average Win 0.33% Average Loss -0.19% Compounding Annual Return -0.664% Drawdown 11.800% Expectancy -0.034 Net Profit -3.302% Sharpe Ratio -0.108 Loss Rate 64% Win Rate 36% Profit-Loss Ratio 1.67 Alpha -0.004 Beta 0.004 Annual Standard Deviation 0.037 Annual Variance 0.001 Information Ratio -0.679 Tracking Error 0.12 Treynor Ratio -1.079 Total Fees $4118.83 |
from QuantConnect.Data.Custom.Tiingo import * from datetime import datetime, timedelta import numpy as np class CompetitionExampleAlgorithm(QCAlgorithm): def Initialize(self): self.SetStartDate(2014, 10, 1) self.SetCash(100000) ## Set Universe Selection Model self.SetUniverseSelection(SP500SectorsETFUniverse()) ## Set Alpha Model self.SetAlpha(NewsSentimentAlphaModel()) ## Set Portfolio Construction Model self.SetPortfolioConstruction(InsightWeightingPortfolioConstructionModel()) ## Set Execution Model self.SetExecution(ImmediateExecutionModel()) ## Set Risk Management Model self.SetRiskManagement(NullRiskManagementModel()) class NewsSentimentAlphaModel: def __init__(self): # the sample pool of word sentiments self.wordSentiment = { "bad": -0.5, "good": 0.5, "negative": -0.5, "great": 0.5, "growth": 0.5, "fail": -0.5, "failed": -0.5, "success": 0.5, "nailed": 0.5, "beat": 0.5, "missed": -0.5, "profitable": 0.5, "beneficial": 0.5, "right": 0.5, "positive": 0.5, "large":0.5, "attractive": 0.5, "sound": 0.5, "excellent": 0.5, "wrong": -0.5, "unproductive": -0.5, "lose": -0.5, "missing": -0.5, "mishandled": -0.5, "un_lucrative": -0.5, "up": 0.5, "down": -0.5, "unproductive": -0.5, "poor": -0.5, "wrong": -0.5, "worthwhile": 0.5, "lucrative": 0.5, "solid": 0.5 } self.day = -1 self.custom = [] def Update(self, algorithm, data): insights = [] # Run the model daily if algorithm.Time.day == self.day: return insights self.day = algorithm.Time.day weights = {} # Fetch the wordSentiment data for the active securities and trade on any for security in self.custom: if not data.ContainsKey(security): continue news = data[security] descriptionWords = news.Description.lower().split(" ") # Get the intersection words between sentiment sample pool and news description intersection = set(self.wordSentiment.keys()).intersection(descriptionWords) # Calculate the score sum of word sentiment sentimentSum = sum([self.wordSentiment[i] for i in intersection]) if sentimentSum: weights[security.Underlying] = sentimentSum # Sort securities by sentiment ranking, count = len(weights) if count == 0: return insights closeTimeLocal = Expiry.EndOfDay(algorithm.Time) count = max(1, min(5, int(count/2.0))) sortedbyValue = sorted(weights.items(), key = lambda x:x[1]) selected = set(sortedbyValue[:count] + sortedbyValue[-count:]) # Trade on top 5 and bottom 5 in ranking sentiment, direction is determined by the sign of weight selected = {kv[0]:kv[1] for kv in selected} for symbol, weight in selected.items(): direction = np.sign(weight) insights.append(Insight.Price(symbol, closeTimeLocal, direction, None, None, None, abs(weight))) return insights def OnSecuritiesChanged(self, algorithm, changes): for security in changes.AddedSecurities: # Tiingo's News is for US Equities if security.Type == SecurityType.Equity: self.custom.append(algorithm.AddData(TiingoNews, security.Symbol).Symbol)